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Banking is a popular topic for empirical and methodological research that applies operational research (OR) and …-based research devoted to the banking industry over the last decade. The article reviews the main topics of this research, including … bank efficiency, risk assessment, bank performance, mergers and acquisitions, banking regulation, customer-related studies …
Persistent link: https://www.econbiz.de/10013292054
We introduce a new approach to model the market smile for inflation-linked derivatives by defining the Quadratic Gaussian Year-on-Year inflation model -- the QGY model. We directly define the model in terms of a year-on-year ratio of the inflation index on a discrete tenor structure, which,...
Persistent link: https://www.econbiz.de/10013081107
According to the definition of Financial Stability Board (FSB), Systemically Important Banks (SIBs) are the banks “whose disorderly failure, because of their size, complexity and systemic interconnectedness, would cause significant disruption to the wider financial system and economic...
Persistent link: https://www.econbiz.de/10012980094
The credit risk that an individual bank poses to the rest of the financial system depends on its size, the type of exposures it has to the real economy, and its obligations to other institutions. This paper describes a system-wide risk management approach to calibrating individual banks' capital...
Persistent link: https://www.econbiz.de/10013119487
This work extends the contagion model introduced by Nier et al. (2007) to inhomogeneous networks. We preserve the convenient description of a financial system by a sparsely parameterized random graph but add several relevant inhomogeneities, namely well-connected banks, financial institutions...
Persistent link: https://www.econbiz.de/10009517810
that banking activity has a positive impact on growth. However, excessive financialization can hamper growth. Indeed, we …
Persistent link: https://www.econbiz.de/10011752444
This paper offers a means to enhance the efficiency of the financial system in the form of Participating Mortgages (PMs) to make it more resilient and to mitigate systemic risk. We establish a basic setup to study the variants of PMs, distinguish them from convertible mortgages and derive...
Persistent link: https://www.econbiz.de/10013095017
banking system and the role of macroprudential policies in the mitigation of systemic risk. In a macro-consistent stress … testing application, we show that a trade-off can arise between banking stability (solvency) and macroeconomic stability …
Persistent link: https://www.econbiz.de/10012591729
) to assess liquidity in the banking system. The SLB takes an aggregated perspective on liquidity risks in the banking …
Persistent link: https://www.econbiz.de/10013294816
not only to the banks' management, but also to banking regulators as well. …
Persistent link: https://www.econbiz.de/10012175768